Market risk assessment of equity instruments based on leptokurtic distribution functions

Evgenii Koltyshev and Ilya Gurov
Additional contact information
Evgenii Koltyshev: Lomonosov Moscow State University, Moscow, Russian Federation
Ilya Gurov: Lomonosov Moscow State University, Moscow, Russian Federation

Applied Econometrics, 2026, vol. 83, 26-51

Abstract: The study presents a comparative analysis of a broad range of GARCH-VaR models for assessing the market risk of equity instruments. These models are based on different assumptions about the distribution of standardized residuals. Candidate probability distributions for VaR modeling are selected from a set of 19 distributions using the Anderson–Darling and Kolmogorov–Smirnov goodness-of-fit tests, implemented with a parametric bootstrap procedure. Based on the results of the Kupiec test, Christoffersen test, and VQR test, the normal inverse Gaussian distribution and filtered historical simulation approach are recommended to provide the most accurate VaR estimates. These models demonstrated the best out-of-sample forecasting performance, outperforming approaches based on the normal distribution and nonparametric historical simulation, which are widely used in practice. The empirical study is based on a sample comprising the returns of 83 stocks and 8 stock indices from the Russian market and various developed and emerging markets.

Keywords: Value at Risk; stochastic modeling of returns; risk factor distribution; stocks; market risk (search for similar items in EconPapers)
JEL-codes: G11 G12 G17 G32 (search for similar items in EconPapers)
Date: 2026
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:023598

Access Statistics for this article

Applied Econometrics is currently edited by Anatoly Peresetsky

More articles in Applied Econometrics from Russian Academy of National Economy and Public Administration (RANEPA)
Bibliographic data for series maintained by Anatoly Peresetsky ().